He said Stanford told the agents to arrest him if they had a warrant, but if they did not have a warrant, he would go back to Houston to turn himself in.

In February, the SEC, the US financial watchdog, described the alleged fraud at Stanford Financial group as a "fraud of shocking magnitude".

The cricket impresario is accused by the SEC of luring investors with promises of improbable and unsubstantiated high returns on certificates of deposit and other investments - what is known as a Ponzi scheme.

The billionaire financer has refused to talk to US regulators investigating his alleged fraud, and court documents show that Sir Allen pleaded the Fifth Amendment - the right to withhold potentially self-incriminating evidence.

In an interview with ABC earlier this year he insisted no money was lost by customers dealing with his financial services companies.

"If it was a Ponzi scheme, why are they finding billions and billions of dollars all over the place?" he said at the time.

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